optimal.portfolio.mad.long.short {portfolio.optimization}

Portfolio Optimization minimizing MAD (Active Extension)

Description

optimal.portfolio.mad.long.short conducts a Portfolio Optimization minimizing Mean Absolute Deviation (MAD) based on Konno and Yamazaki (1991) including an active extension

Usage

optimal.portfolio.mad.long.short(model)

Arguments

model

the portfolio.model to compute the portfolio of

Value

the portfolio.model including the newly computed optimal portfolio

Author(s)

Ronald Hochreiter, [e-mail]